89 lines
2.7 KiB
C
89 lines
2.7 KiB
C
/*---------------------------------------------------------------------------*\
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========= |
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\\ / F ield | foam-extend: Open Source CFD
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\\ / O peration | Version: 3.2
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\\ / A nd | Web: http://www.foam-extend.org
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\\/ M anipulation | For copyright notice see file Copyright
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-------------------------------------------------------------------------------
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License
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This file is part of foam-extend.
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foam-extend is free software: you can redistribute it and/or modify it
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under the terms of the GNU General Public License as published by the
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Free Software Foundation, either version 3 of the License, or (at your
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option) any later version.
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foam-extend is distributed in the hope that it will be useful, but
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WITHOUT ANY WARRANTY; without even the implied warranty of
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MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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General Public License for more details.
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You should have received a copy of the GNU General Public License
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along with foam-extend. If not, see <http://www.gnu.org/licenses/>.
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Application
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financialFoam
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Description
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Solves the Black-Scholes equation to price commodities.
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\*---------------------------------------------------------------------------*/
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#include "fvCFD.H"
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#include "writeCellGraph.H"
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#include "OSspecific.H"
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// * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
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int main(int argc, char *argv[])
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{
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# include "setRootCase.H"
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# include "createTime.H"
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# include "createMesh.H"
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# include "createFields.H"
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// * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * //
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Info<< nl << "Calculating value(price of comodities)" << endl;
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surfaceScalarField phi("phi", (sigmaSqr - r)*(Pf & mesh.Sf()));
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volScalarField DV("DV", 0.5*sigmaSqr*sqr(P.component(Foam::vector::X)));
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Info<< "Starting time loop\n" << endl;
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while (runTime.loop())
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{
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delta == fvc::grad(V)().component(Foam::vector::X);
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solve
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(
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fvm::ddt(V)
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+ fvm::div(phi, V)
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- fvm::Sp(fvc::div(phi), V)
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- fvm::laplacian(DV, V)
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==
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- fvm::Sp(r, V)
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);
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runTime.write();
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if (runTime.outputTime())
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{
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writeCellGraph(V, runTime.graphFormat());
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writeCellGraph(delta, runTime.graphFormat());
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}
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Info<< "ExecutionTime = " << runTime.elapsedCpuTime() << " s"
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<< " ClockTime = " << runTime.elapsedClockTime() << " s"
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<< nl << endl;
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}
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Info<< "End\n" << endl;
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return 0;
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}
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// ************************************************************************* //
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